Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 1 |
| Score | -6.93 | -4.75 | -8.36 |
| Market Cap (Millions USD) | 850.32 | 854.77 | 1153.59 |
| Predicted Beta | 0.19 | 0.19 | 0.2 |
| Idiosyncratic Volatility | 1.6 | 1.76 | 2.7 |
Annualized return and volatility
| IXC | |
|---|---|
| Annualized Return | 0.0643 |
| Annualized Std Dev | 0.2457 |
| Annualized Sharpe (Rf=0%) | 0.2619 |
Row
Daily Return Statistics
| IXC | |
|---|---|
| Observations | 4629.0000 |
| NAs | 484.0000 |
| Minimum | -0.1315 |
| Quartile 1 | -0.0066 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1542 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -0.1038 |
| Kurtosis | 9.8613 |
Downside Risk
| IXC | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.5581 |
| Historical VaR (95%) | -0.0235 |
| Historical ES (95%) | -0.0371 |
| Modified VaR (95%) | -0.0225 |
| Modified ES (95%) | -0.0329 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-22 | 2009-03-03 | 2014-05-02 | -0.5581 | 1523 | 202 | 1321 |
| 2014-06-24 | 2016-01-20 | NA | -0.4867 | 1410 | 405 | NA |
| 2002-04-03 | 2002-07-22 | 2003-12-09 | -0.2411 | 436 | 78 | 358 |
| 2008-01-04 | 2008-01-23 | 2008-04-16 | -0.1646 | 72 | 13 | 59 |
| 2006-05-11 | 2006-06-13 | 2006-11-29 | -0.1532 | 143 | 23 | 120 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IXC | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0 | NA |
| 2002 | 0.0 | 0.7 | 0.7 | 0.5 | 0.0 | 0.0 | -3.6 | 0.0 | 3.4 | 2.2 | 0.0 | 0 | 3.9 |
| 2003 | 0.0 | 0.0 | 1.3 | 0.4 | 0.0 | -0.1 | -0.8 | 0.0 | 1.3 | 0.0 | 0.9 | 0 | 3.0 |
| 2004 | 0.0 | 2.3 | -1.2 | 0.0 | 1.3 | -0.3 | 0.0 | 0.9 | 1.5 | -0.9 | -1.3 | 0 | 2.3 |
| 2005 | 1.9 | -1.6 | 1.2 | 0.0 | 1.3 | 1.5 | 0.9 | 2.7 | 0.0 | 0.2 | 2.8 | 0 | 11.3 |
| 2006 | -1.6 | 1.7 | 0.0 | 1.0 | 0.6 | 0.0 | 0.1 | 0.7 | 0.0 | -1.0 | -0.3 | 0 | 1.1 |
| 2007 | 0.8 | -0.4 | 0.0 | 0.3 | 1.1 | 0.0 | 0.2 | 0.0 | 1.0 | -2.4 | 0.0 | 0 | 0.5 |
| 2008 | 1.5 | 0.0 | 1.5 | -1.5 | 0.0 | -0.2 | -1.0 | 0.0 | -3.0 | 0.0 | -10.5 | 0 | -12.9 |
| 2009 | 0.0 | 0.0 | 1.8 | 3.3 | 3.6 | 0.1 | 0.0 | -1.9 | -2.8 | 0.0 | 2.0 | 0 | 6.0 |
| 2010 | 2.3 | 0.9 | 2.1 | 0.0 | -3.8 | 0.2 | 0.0 | 3.9 | 1.8 | 0.1 | 2.6 | 0 | 10.4 |
| 2011 | 2.4 | -1.5 | 0.9 | 0.0 | -2.5 | 1.0 | -0.4 | -0.7 | 0.0 | -3.4 | -0.9 | 0 | -5.1 |
| 2012 | 0.6 | 1.2 | 0.0 | 1.0 | -2.3 | 0.0 | 0.6 | 0.0 | 0.6 | 0.5 | 0.0 | 0 | 2.1 |
| 2013 | 0.7 | 0.1 | -0.1 | -1.2 | 0.0 | 0.6 | 0.8 | 0.0 | 0.3 | -0.4 | 0.0 | 0 | 0.8 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.0 | 0.0 | 0.2 | -0.6 | 0.0 | -1.8 | 0.0 | 0.3 | 0 | -1.4 |
| 2015 | 0.0 | 0.0 | 0.6 | 0.1 | -0.7 | -1.0 | 0.0 | -3.7 | 0.4 | 0.0 | 0.9 | 0 | -3.4 |
| 2016 | -1.7 | 2.4 | -1.5 | 0.0 | 0.2 | 0.7 | -2.9 | -0.2 | 0.0 | 0.1 | 0.6 | 0 | -2.3 |
| 2017 | -0.5 | 1.5 | 0.0 | -0.2 | 0.7 | 0.0 | 0.4 | 0.7 | 0.0 | 0.9 | 0.9 | 0 | 4.4 |
| 2018 | 0.9 | -0.3 | 0.0 | -0.5 | 0.4 | 0.0 | -1.0 | 0.0 | 1.4 | 0.3 | 0.0 | 0 | 1.2 |
| 2019 | 1.0 | 0.9 | 1.2 | -1.6 | 0.0 | 0.2 | -2.6 | 0.0 | -1.7 | 2.4 | 0.0 | 1 | 0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
